Is it possible to summarise the EBA stress results on a single page? The data contains a lot of detail; for each of the 90 participating banks, the EBA produced a 10 page report. That’s 900 pages in total so distilling that down to one page is a challenge!
Figure 1 below shows my attempt to cram the essentials onto a single page of A4.
This is a snapshot of the first few rows. You can see the full report in PDF format in its full glory here.
The report is split into three sections, capital adequacy, exposures-at-default (EADs) and sovereign exposure. The capital adequacy section contains the core tier 1 ratios (CT1R)and the risk weighted assets (RWA) as at Dec 2010 and then shows the CT1R projected forward to Dec 2011 and Dec 2012 under two economic scenarios; baseline (what the economy is expected to perform) and adverse (simulates a recession – e.g. a drop of EU GDP of 4%). The sovereign exposure section shows the total amount and maturity profile. The EADS sections shows the total amount and the breakdown by sector.
Since the EBA at that time considered under 5% to be unacceptable and between 5% and 6% to be of concern, the CT1R column has highlighted these with red and yellow icons respectively.
The RWA column is useful since RWA is a measure of size and therefore impact if the bank failed – or the amount of funds needed to bail it out. I’ve used data-bars to visualize the RWA – it’s interesting that there are many tiddlers and a few giants.
The sparkline charts show how the CT1R and RWA change under the two scenarios (baseline and adverse). Although each chart only has three points, it does raise some concerns. For example, under the baseline scenarios, most banks are increasing their CT1R as they build up their capital but for a few banks the CT1R seem to be decreasing.
The exposures-at-default (EADs) section has two columns – the data bars show the total value and the stacked bar chart shows the composition between the four main sectors; institutions (in blue), corporate (in green), retail (in red) and commercial real estate (in yellow). We can see differences in the profiles. For example GRUPO BBK has a higher percentage of it EADs to retail than most whereas DekaBank Deutsche Girozentral has a corresponding high percentage to institutions.
In the sovereign exposure section we can see very large differences between banks in the amount of exposure. The maturity column shows a bar chart with a bar for each tenor (ranging from 3 moths to 15 years). Even though each bar chart fits into a tiny space, it does yield a lot of information. For example we can see that HSBC has a maturity profile that is concentrated at the short end whereas HSH Nordbank is concentrated at the long end.
The page does not contain a country breakdown of either the sovereign exposures or EADs data. There was no way I could think of showing this succinctly. The EADs composition stacked bar works well because there are only 4 sectors but would not work with 21 countries. So perhaps a second page is necessary after all.
This dashboard was built in Excel and used the XLCubed Excel add-in. XLCubed has two great strengths used to good effect here. Firstly it has formula reporting which allows really precise positioning and means that we can use the best of Excel together with the best of XLCubed. Secondly, it has a great suite of micro-charts. The EADs composition stacked bar, sovereign maturity column chart and the CT1R and RWA line chart are examples of these.